We continuously screen global markets for related stocks that allow for the creation of net neutral long/short strategies, with strong fundamentals supporting mean reversion. All research is done inhouse with some external idea generation.

Once relationships are established, they are analysed for such factors as: volatility, liquidity, frequency of
convergence, dividends, voting and tax differences, stationarity, VaR and behaviour during stress events.

Strategies tend to persist for sustained periods as opportunities, requiring limited ongoing re-evaluation of
relationships, dividends, reporting and closed periods, liquidity and volatility.

Arbitrage strategies:

  • Dual-listed stocks / ADR’s
  • Stocks with multiple listings within an exchange (different voting rights etc.)
  • Holding companies with listed underlying stocks accounting for over 90% of the NAV
  • ETFs/Futures with the same underlying index.

Our strategies are currently spread across the following geographic regions:

                                               # Strats                   %Porfotlio
Northern America                    56%                        60-70%
United Kingdom                      13%                         10-15%
Europe                                     24%                        10-15%
South Africa                             7%                           5-10%

Based upon our current strategies, we believe our capacity to be in the order of at least US$2bn of exposure. We expect to be able to add to this over time, as we add different asset classes, strategies styles and geographic areas.